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Modeling the Term Structure of Interest Rates

2010 Business & Economics
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Release : 2010
Genre : Business & Economics
Kind : eBook
Book Rating : 727/5 ( reviews)

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Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson

Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.

Term-Structure Models

2009-07-28 Mathematics
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Release : 2009-07-28
Genre : Mathematics
Kind : eBook
Book Rating : 152/5 ( reviews)

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Book Synopsis Term-Structure Models by : Damir Filipovic

Download or read book Term-Structure Models written by Damir Filipovic. This book was released on 2009-07-28. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

Building and Using Dynamic Interest Rate Models

2001-11-28 Business & Economics
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Release : 2001-11-28
Genre : Business & Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Building and Using Dynamic Interest Rate Models by : Ken O. Kortanek

Download or read book Building and Using Dynamic Interest Rate Models written by Ken O. Kortanek. This book was released on 2001-11-28. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.

Interest Rate Modeling

2010 Business & Economics
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Release : 2010
Genre : Business & Economics
Kind : eBook
Book Rating : 104/5 ( reviews)

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Book Synopsis Interest Rate Modeling by : Leif B. G. Andersen

Download or read book Interest Rate Modeling written by Leif B. G. Andersen. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: "The three volumes of Interest rate modeling are aimed primarily at practitioners working in the area of interest rate derivatives, but much of the material is quite general and, we believe, will also hold significant appeal to researchers working in other asset classes. Students and academics interested in financial engineering and applied work will find the material particularly useful for its description of real-life model usage and for its expansive discussion of model calibration, approximation theory, and numerical methods."--Preface.

The Term Structure of Interest Rates

1972 Business & Economics
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Release : 1972
Genre : Business & Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis The Term Structure of Interest Rates by : R. S. Masera

Download or read book The Term Structure of Interest Rates written by R. S. Masera. This book was released on 1972. Available in PDF, EPUB and Kindle. Book excerpt:

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